ECO5069S - Applied Time Series Analysis

Course Information

Difference Equations and Lag Operators - Linear difference equations of first and second order, and systems of difference equations. Distributed lag model and impulse response functions. Stationary Time-Series Models - AR, MA, ARMA. Volatility - ARCH processes. Models with Trend - Deterministic and stochastic trends, unit roots, ADF test. Multiequation Time-Series - VAR analysis. Cointegration - Linear combinations of integrated variables, the Engle-Grangermethodology, Cointegration, Johansen methodology. Nonlinear Time-Series Models - TAR models. Panel Time-Series - Heterogeneity, unit roots and between-region dependence.